Search Results - subject:"Volatility Modelling"

Long memory in the volatility of selected cryptocurrencies: Bitcoin, Ethereum and Ripple

Soylu, Pınar Kaya; Okur, Mustafa; Çatıkkaş, Özgür; … - In: Journal of Risk and Financial Management 13 (2020) 6, pp. 1-20

This paper examines the volatility of cryptocurrencies, with particular attention to their potential long memory properties. Using daily data for the three major cryptocurrencies, namely Ripple, Ethereum, and Bitcoin, we test for the long memory property using, Rescaled Range Statistics (R/S),...

Persistent link: https://www.econbiz.de/10012611336

Long memory in the volatility of selected cryptocurrencies: Bitcoin, Ethereum and Ripple

Soylu, Pınar Kaya; Okur, Mustafa; Çatıkkaş, Özgür; … - In: Journal of risk and financial management : JRFM 13 (2020) 6/107, pp. 1-20

Persistent link: https://www.econbiz.de/10012305060

On the stationarity of futures hedge ratios

Degiannakis, Stavros; Floros, Christos; Salvador, Enrique; … - In: Operational research : an international journal 22 (2022) 3, pp. 2281-2303

Persistent link: https://www.econbiz.de/10013443633

Listed real estate futures trading, market efficiency, and direct real estate linkages : international evidence

Lee, Chyi Lin; Stevenson, Simon; Cho, Hyunbum - In: Journal of international money and finance 127 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10013435638

Recurrent conditional heteroskedasticity

Trong-Nghia Nguyen; Minh-Ngoc Tran; Kohn, Robert - In: Journal of applied econometrics 37 (2022) 5, pp. 1031-1054

Persistent link: https://www.econbiz.de/10013464647

Modelling volatility persistence and asymmetry of Naira-Dollar exchange rate

Oyinlola, Mutiu A. - In: CBN Journal of Applied Statistics 09 (2018) 1, pp. 141-165

This paper modelled the volatility persistence and asymmetry of naira-dollar exchange rate in interbank and Bureau de Change (BDC) using monthly data between January 2004 and November 2017. The study employed Generalized Autoregressive Conditional Heteroscedasticity [GARCH (1,1)], Thresh- old...

Persistent link: https://www.econbiz.de/10011961673

Modelling volatility persistence and asymmetry of Naira-Dollar exchange rate

Oyinlola, Mutiu Abimola - In: CBN journal of applied statistics 9 (2018) 1, pp. 141-165

Persistent link: https://www.econbiz.de/10011922750

Discussions on the Zero-drift GARCH model : evidence from an Markov regime-switching extension

Feng, Lingbing; Fu, Tong; Shi, Yanlin; Wang, Zili - In: Finance research letters 40 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10012819431

FX market volatility modelling : can we use low-frequency data?

Lyócsa, Štefan; Plíhal, Tomáš; Výrost, Tomáš - In: Finance research letters 40 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012820071

Deep learning volatility : a deep neural network perspective on pricing and calibration in (rough) volatility models

Horvath, Blanka Nora; Muguruza, Aitor; Tomas, Mehdi - In: Quantitative finance 21 (2021) 1, pp. 11-27

Persistent link: https://www.econbiz.de/10012424629